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How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.0899	0.00
αARCH	0.0000	0.00
βGARCH	1.0000	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0899	0.00
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	0.00

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Phoenix Education Partne Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Phoenix Education Partne Inc Analyses